Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/19022

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DC Field

Value

Language

dc.contributor.author

Egger, Peter

en_US

dc.contributor.author

Larch, Mario

en_US

dc.contributor.author

Pfaffermayr, Michael

en_US

dc.contributor.author

Walde, Janette F.

en_US

dc.date.accessioned

2009-01-28T15:54:31Z

-

dc.date.available

2009-01-28T15:54:31Z

-

dc.date.issued

2005

en_US

dc.identifier.uri

http://hdl.handle.net/10419/19022

-

dc.description.abstract

This paper undertakes a Monte Carlo study to compare MLE-based and GMM-based testsregarding the spatial autocorrelation coefficient of the error term in a Cliff and Ord typemodel. The main finding is that a Wald-test based on GMM estimation as derived by Kelejianand Prucha (2005a) performs surprisingly well. Our Monte Carlo study indicates that theGMM Wald-test is correctly sized even in small samples and exhibits the same power as theirMLE-based counterparts. Since GMM estimates are much easier to calculate, the GMMWald-test is recommended for applied researches.